Utility Maximization Trading Two Futures with Transaction Costs
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/110853649
Reference21 articles.
1. On an Investment-Consumption Model with Transaction Costs
2. On an investment-consumption model with transaction costs: an asymptotic analysis
3. The influence of correlation on multi-asset portfolio optimization with transaction costs
4. Multi‐asset portfolio optimization with transaction cost
5. Capital Market Equilibrium with Transaction Costs
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